With the large-scale integration of high-penetration renewable energy into the power grid, there are increasing demands for frequency regulation. To address the issues of high regulation losses and poor economic performance resulting from the frequent ramping of conventional thermal power units, this paper proposes a secondary frequency regulation strategy for a hybrid energy storage system (HESS) that incorporates the response characteristics of both thermal power and compressed air energy storage (CAES). First, the automatic generation control signal is decomposed into high-frequency and low-frequency components using the improved complete ensemble empirical mode decomposition with adaptive noise (ICEEMDAN) and multiscale permutation entropy (MPE) methods. Subsequently, leveraging the similarity between thermal power units and CAES in terms of dynamic response time and regulation inertia, a coordinated control method for a thermal-HESS is developed. This method enables the rational allocation of high- and low-frequency components among different units, thereby enhancing the system’s frequency regulation performance while reducing the output variability of the thermal unit. Finally, a dynamic simulation model is built in Matlab/Simulink to validate the regulation performance and economic benefits of the proposed strategy. Simulation results demonstrate that the proposed strategy can fully leverage the analogous response characteristics between thermal power and CAES during secondary frequency regulation, as well as the complementary advantages of the HESS in terms of fast response and large capacity. This coordinated approach effectively reduces and smoothens the output of the thermal power unit, thereby enhancing the overall frequency regulation performance and economic benefits of the thermal-HESS.